Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Characteristics

Characteristic Latest Prior Month Two Months Ago
Rank (1 is Worst, 10 is Best) 5 5 5
Score -1.14 -1.22 -0.25
Market Cap (Millions USD) NA NA NA
Predicted Beta 0.81 0.82 0.81
Idiosyncratic Volatility 0.79 0.86 1.35

Annualized return and volatility

VSMAX
Annualized Return 0.0802
Annualized Std Dev 0.2216
Annualized Sharpe (Rf=0%) 0.3620

Row

Daily Return Statistics

VSMAX
Observations 4890.0000
NAs 224.0000
Minimum -0.1745
Quartile 1 -0.0059
Median 0.0007
Arithmetic Mean 0.0004
Geometric Mean 0.0003
Quartile 3 0.0074
Maximum 0.0937
SE Mean 0.0002
LCL Mean (0.95) 0.0000
UCL Mean (0.95) 0.0008
Variance 0.0002
Stdev 0.0140
Skewness -0.5906
Kurtosis 10.2183

Downside Risk

VSMAX
Semi Deviation 0.0102
Gain Deviation 0.0094
Loss Deviation 0.0109
Downside Deviation (MAR=210%) 0.0148
Downside Deviation (Rf=0%) 0.0100
Downside Deviation (0%) 0.0100
Maximum Drawdown 0.5968
Historical VaR (95%) -0.0212
Historical ES (95%) -0.0327
Modified VaR (95%) -0.0219
Modified ES (95%) -0.0463
From Trough To Depth Length To Trough Recovery
2007-07-16 2009-03-09 2010-12-21 -0.5968 883 426 457
2000-11-16 2002-10-09 2004-01-05 -0.4161 800 481 319
2011-05-02 2011-10-03 2012-09-06 -0.2838 347 109 238
2018-08-30 2018-12-24 2019-11-26 -0.2458 318 82 236
2015-06-24 2016-02-11 2016-08-23 -0.2328 299 164 135

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec VSMAX
1999 NA NA NA NA NA NA NA NA NA NA NA NA NA
2000 NA NA NA NA NA NA NA NA NA NA 2.4 0.0 2.4
2001 0.1 -0.3 0.0 1.1 1.0 0.0 0.9 0.0 -1.7 1.6 0.0 0.0 2.8
2002 -0.6 1.9 -0.4 0.0 0.0 -3.0 -0.8 0.0 1.6 2.7 0.0 0.0 1.2
2003 0.0 0.0 1.1 0.1 0.0 0.4 -1.4 0.0 2.3 0.0 1.4 0.0 4.0
2004 0.0 1.6 0.9 0.0 0.6 -1.4 0.0 0.8 1.8 0.5 1.5 0.0 6.5
2005 0.7 0.7 -0.4 0.0 1.0 0.7 0.4 0.4 0.0 -0.5 1.7 0.0 4.8
2006 0.2 1.3 0.0 -0.4 1.8 0.0 -1.2 0.3 0.0 -1.5 -0.4 0.0 0.1
2007 1.0 -0.3 0.0 0.2 0.7 0.0 0.1 0.0 2.0 -3.4 0.0 0.0 0.2
2008 2.5 0.0 3.3 1.8 0.0 0.2 0.1 0.0 -1.1 0.0 -11.4 0.0 -5.3
2009 0.0 0.0 1.6 0.0 3.9 1.6 0.0 -2.7 -3.4 0.0 1.7 0.0 2.6
2010 1.4 2.1 0.9 0.0 -3.1 -0.6 0.0 3.6 0.4 -0.5 2.1 0.0 6.4
2011 2.0 -1.8 0.5 0.0 -3.0 1.6 -0.6 -2.2 0.0 -3.5 -0.8 0.0 -7.5
2012 2.1 0.6 0.0 0.1 -3.2 0.0 -1.6 0.0 0.1 1.5 0.0 0.0 -0.4
2013 0.9 0.0 -1.1 -1.9 0.0 1.4 1.6 0.0 1.3 -0.1 0.0 0.0 2.2
2014 0.0 0.0 1.2 0.1 0.0 0.8 -0.3 0.0 -1.4 0.0 -1.5 0.0 -1.1
2015 0.0 0.0 -0.2 0.7 0.2 0.3 0.0 -2.7 -0.1 0.0 0.6 0.0 -1.2
2016 0.0 2.0 0.3 0.0 0.6 0.4 -0.2 0.0 0.0 -1.1 -0.5 0.0 1.4
2017 -0.2 1.6 0.0 0.4 1.6 0.0 0.2 0.5 0.0 -0.3 -0.3 0.0 3.5
2018 0.2 -0.4 0.0 0.3 0.8 0.0 0.0 0.0 -1.0 2.0 0.0 0.0 1.8
2019 0.4 0.8 1.3 -1.0 0.0 0.5 -1.6 0.0 -1.8 1.5 0.0 0.1 0.1

Row

Rolling Performance Chart

Snail Trail Chart